Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1278
Annualized Std Dev 0.2780
Annualized Sharpe (Rf=0%) 0.4598

Row

Daily Return Statistics

Close
Observations 3261.0000
NAs 1.0000
Minimum -0.1346
Quartile 1 -0.0076
Median 0.0008
Arithmetic Mean 0.0006
Geometric Mean 0.0005
Quartile 3 0.0087
Maximum 0.1078
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0012
Variance 0.0003
Stdev 0.0175
Skewness -0.3746
Kurtosis 6.8265

Downside Risk

Close
Semi Deviation 0.0126
Gain Deviation 0.0123
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0123
Downside Deviation (0%) 0.0123
Maximum Drawdown 0.5625
Historical VaR (95%) -0.0255
Historical ES (95%) -0.0407
Modified VaR (95%) -0.0276
Modified ES (95%) -0.0522
From Trough To Depth Length To Trough Recovery
2008-06-06 2009-03-09 2009-10-14 -0.5625 336 184 152
2018-08-23 2020-03-18 2020-11-24 -0.5235 569 394 175
2011-07-08 2011-10-03 2012-02-02 -0.2742 145 61 84
2015-06-24 2016-02-11 2016-11-11 -0.2616 352 161 191
2010-04-26 2010-07-06 2010-12-10 -0.2304 161 50 111

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -2.1 -1.3 1.3 -0.2 -0.4 -0.5 -0.2 -0.4 4.6 -12.1 6 -6.3
2009 -2.6 -0.7 -0.4 0.9 5 2.6 0.8 -2.6 -4.1 -3.4 1.7 -1.7 -4.7
2010 1.2 2 1 -3.5 -3.2 -0.8 0.3 4.2 0.8 -0.8 1.9 -1.1 1.9
2011 2.2 -2.1 0.6 0.3 -2.5 1.8 -0.4 -2.5 -3.1 -4 0.3 -0.7 -9.8
2012 2.4 0.3 -0.4 -0.4 -3.3 3.5 -2 0.3 0.3 2.3 -0.1 2 4.7
2013 1 0.1 -1.6 -2.1 -0.7 1.9 1.3 -1.9 1.2 -0.2 0.1 0.1 -0.8
2014 -0.7 0.2 0.3 -0.1 -0.1 1.3 -0.5 0.6 -1.7 1.7 -1.4 -0.6 -1.1
2015 -2 -0.3 -0.4 0.9 0.3 0.2 0.6 -2.8 -1.1 0 0.8 -1.2 -5
2016 -0.9 1.6 -0.1 -0.7 0.7 0.9 -0.3 -0.3 1.6 -1.5 0.1 -0.8 0.3
2017 -0.1 1.3 0.3 0.1 2.2 0 0.3 0.9 0.2 -0.6 -0.7 -0.8 3.3
2018 0 -0.7 0.8 0 0.6 -0.4 -0.7 0.3 -1.4 2.3 0.4 0.6 1.8
2019 0.2 0.8 1.6 -1.6 -1.9 0.4 -2.8 0.1 -2.2 1.9 -0.6 0.5 -3.6
2020 -2.7 -0.5 -7.7 -3.7 2.1 -2.1 -1.2 1.5 1.3 -1.9 1.6 -0.1 -13
2021 -2.5 4.4 0.6 NA NA NA NA NA NA NA NA NA 2.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld  ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>  <dbl>    <dbl>
1 2008-02-22  24.6 SPY    136.  0.0062  0.0033    0.0131  -0.0624  -0.0703   0.126     0.608 GLD    93.4 0.0015   0.041 
2 2008-02-26  25.8 SPY    138.  0.0075  0.021     0.04    -0.04    -0.0469   0.158     0.651 GLD    93.7 0.0105   0.0233
3 2008-02-28  25.2 SPY    137. -0.0098  0.0154    0.0071  -0.04    -0.0288   0.127     0.644 GLD    96.0 0.0128   0.0294
4 2008-02-29  24.7 SPY    134. -0.0223 -0.0133   -0.0081  -0.0905  -0.0476   0.109     0.587 GLD    96.2 0.002    0.0299
5 2008-03-11  23.5 SPY    133.  0.0359 -0.00290  -0.0035  -0.121   -0.0595   0.0961    0.631 GLD    96.0 0.0013   0.0085
6 2008-03-12  24.0 SPY    131. -0.0094 -0.0185   -0.0179  -0.136   -0.0498   0.0835    0.631 GLD    97.0 0.0106  -0.0073
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart